Multi-period mean–variance portfolio optimization with management fees

被引：0
|
作者：
Xiangyu Cui
Jianjun Gao
Yun Shi
机构：
[1] Shanghai University of Finance and Economics,School of Statistics and Management, Shanghai Institute of International Finance and Economics
[2] Shanghai University of Finance and Economics,School of Information Management and Engineering
[3] East China Normal University,Institute for Statistics and Interdisciplinary Sciences, Faculty of Economics and Management
来源：
Operational Research | 2021年 / 21卷
关键词：
Dynamic mean–variance portfolio selection; Management fee; Dynamic programming;
D O I：
暂无
中图分类号：
学科分类号：
摘要：
Due to limited capital and limited information from stock market, some individual investors prefer to construct a portfolio of funds instead of stocks. But, there will be management fees paid to the fund managers during the investment, which are in general proportional to the net asset value of the funds. Motivated by this phenomena, this paper considers multi-period mean–variance portfolio optimization problem with proportional management fees. Using stochastic dynamic programming, we derive the semi-analytical optimal portfolio policy. Our result helps clarify the benefit and cost of adopting such dynamic portfolio policy with management fees.
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收藏
页码：1333 / 1354
页数：21
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